| Biagini, Francesca; Meyer-Brandis, Thilo; Oksendal, Bernt; Paczka, Krzysztof (2018): Optimal control with delayed information flow of systems driven by G-Brownian motion. In: Probability Uncertainty and Quantitative Risk, Vol. 3 |
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Abstract
In this paper, we study strongly robust optimal control problems under volatility uncertainty. In the G-framework, we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust optimal control.
| Item Type: | Journal article |
|---|---|
| Faculties: | Mathematics, Computer Science and Statistics > Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| ISSN: | 2367-0126 |
| Language: | English |
| ID Code: | 66357 |
| Deposited On: | 19. Jul 2019 12:19 |
| Last Modified: | 04. Nov 2020 13:47 |
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